Transactionally deterministic high speed financial exchange having improved, efficiency, communication, customization, performance, access, trading opportunities, credit controls, and fault tolerance

Abstract

The disclosed embodiments relate to implementation of a trading system, which may also be referred to as a trading system architecture, having improved performance which further assures transactional determinism under increasing processing transaction loads while providing improved trading opportunities, fault tolerance, low latency processing, high volume capacity, risk mitigation and market protections with minimal impact, as well as improved and equitable access to information and opportunities.

What is claimed is: 
     
         1 . A system comprising:
 a plurality of hardware match engines, each defined by a current state which is altered by a successful attempt thereby to match an incoming order from a participant for at least one transaction for an associated financial instrument with at least one other previously received but unsatisfied order for a transaction counter thereto, to at least partially satisfy one or both of the incoming order or the at least one other previously received order; and   a logic component external to the plurality of hardware match engines such that an incoming order from the participant is received first by the logic component, the logic component operative to, prior to forwarding the incoming order to the hardware match engine and an actual match being identified, compute a risk of loss value based on a probability of the incoming order hypothetically being matched by the hardware match engine with at least one other previously received but unsatisfied order as part of pattern including previously received and forwarded orders, compare the computed risk of loss value with a threshold, and, based thereon, when the computed risk of loss value exceeds the threshold prevent the incoming order from being forwarded to the hardware match engine, thereby preventing a change in the current state thereof and avoiding reverting the current state of the associated hardware match engine, caused by matching an incoming order, and automatically compute an acceptable order which, if satisfied, would result in the pattern, including the previously received and forwarded orders, not occurring, and cause at least one of the hardware match engines to transmit a synthetic solicitation for the computed acceptable order to a plurality of participants.   
     
     
         2 . The system of  claim 1 , wherein the logic component is configured to forward the incoming order to one of the plurality of hardware match engines when the threshold is not exceeded. 
     
     
         3 . The system of  claim 1 , wherein the computed risk of loss value for the other order does not exceed the threshold. 
     
     
         4 . The system of  claim 1 , wherein data indicative of the previously received and forwarded orders is stored in a pattern memory buffer coupled with the logic component. 
     
     
         5 . A system comprising:
 at least two hardware match engines, each defined by a current state which is altered by a successful attempt thereby to match an incoming order from a participant for at least one transaction for an associated financial instrument with at least one other previously received but unsatisfied order for a transaction counter thereto, to at least partially satisfy one or both of the incoming order or the at least one other previously received order; and   a transaction validator external to the at least two hardware match engines such that an incoming order from the participant is received first by the transaction validator, the transaction validator operative to, prior to forwarding the incoming order to the hardware match engine and an actual match being identified, compute a risk of loss value based on a probability of the incoming order hypothetically being matched by the hardware match engine with at least one other previously received but unsatisfied order as part of pattern including previously received and forwarded orders, compare the computed risk of loss value with a threshold, and, based thereon, when the computed risk of loss value exceeds the threshold prevent the incoming order from being forwarded to the hardware match engine, thereby preventing a change in the current state thereof and avoiding reverting the current state of the associated hardware match engine, caused by matching an incoming order, and automatically compute an acceptable order which, if satisfied, would result in the pattern, including the previously received and forwarded orders, not occurring, and cause at least one of the at least two hardware match engines to transmit a synthetic solicitation for the computed acceptable order to a plurality of participants.   
     
     
         6 . The system of  claim 5 , wherein the transaction validator is configured to forward the incoming order to one of the at least two hardware match engines when the threshold is not exceeded. 
     
     
         7 . The system of  claim 5 , wherein the computed risk of loss value for the other order does not exceed the threshold. 
     
     
         8 . The system of  claim 5 , wherein data indicative of the previously received and forwarded orders is stored in a pattern memory buffer coupled with the transaction validator. 
     
     
         9 . The system of  claim 5 , wherein the computed risk of loss comprises a potential loss in value over a predefined period of time at a predefined confidence level. 
     
     
         10 . The system of  claim 5 , wherein the computed risk of loss may be independent of the magnitude of a quantity or price of the incoming order. 
     
     
         11 . The system of  claim 5 , wherein the transaction validator is further operative to cause the incoming order to be only partially satisfied thereby reducing the risk of loss value. 
     
     
         12 . A computer implemented method comprising:
 providing two or more hardware match engines, each defined by a current state which is altered by a successful attempt thereby to match an incoming order from a participant for at least one transaction for an associated financial instrument with at least one other previously received but unsatisfied order for a transaction counter thereto, to at least partially satisfy one or both of the incoming order or the at least one other previously received order;   upon receipt of an incoming order by a processor external to and the at least two hardware match engines such that the incoming order from the participant received first by the processor, prior to forwarding the incoming order to the hardware match engine and an actual match being identified, computing a risk of loss value based on a probability of the incoming order hypothetically being matched by the hardware match engine with at least one other previously received but unsatisfied order as part of pattern including previously received and forwarded orders, comparing the computed risk of loss value with a threshold, and, based thereon, when the computed risk of loss value exceeds the threshold preventing the incoming order from being forwarded to the hardware match engine, thereby preventing a change in the current state thereof and avoiding reverting the current state of the associated hardware match engine, caused by matching an incoming order, and computing, automatically, an acceptable order which, if satisfied, would result in the pattern, including the previously received and forwarded orders, not occurring, and causing at least one of the at least two hardware match engines to transmit a synthetic solicitation for the computed acceptable order to a plurality of participants.   
     
     
         13 . The method of  claim 12 , wherein data indicative of the previously received and forwarded orders is stored in a pattern memory buffer coupled with the processor. 
     
     
         14 . The method of  claim 12 , further comprising forwarding, by the processor the incoming order to one of the at least two hardware match engines when the threshold is not exceeded. 
     
     
         15 . The method of  claim 12 , wherein the computed risk of loss comprises a potential loss in value over a predefined period of time at a predefined confidence level. 
     
     
         16 . The method of  claim 12 , wherein the computed risk of loss is independent of the magnitude of a quantity or price of the incoming order. 
     
     
         17 . The method of  claim 12 , wherein the incoming order may cause the computed risk of loss to increase, decrease or remain the same. 
     
     
         18 . The method of  claim 12 , further comprising computing the risk of loss further based on the previously received and forwarded orders, the incoming order and the previously received and forwarded orders being representative of a behavioral pattern indicative of risk. 
     
     
         19 . The method of  claim 12 , wherein the computed risk of loss comprises a potential loss in value over a predefined period of time at a predefined confidence level. 
     
     
         20 . The method of  claim 12 , further comprising causing, by the processor, the incoming order to be only partially satisfied thereby reducing the derived risk of loss.